Research On The Risk Spillover Effect Of China's Carbon Market, New Energy Market And International Crude Oil Futures Marke

Oil as an important non-renewable energy,its price change will undoubtedly affect the new energy industry of our country,and as the alternative energy of oil,the rapid development of new energy in the world will also have a certain impact on the price of oil.The establishment and development of carbon emission trading market in our country has made positive contribution to reducing greenhouse effect and promoting global ecological governance.China is a big importing country of petroleum,and the large use of petroleum is a key factor causing the increase of carbon dioxide emission.Therefore,the fluctuation of oil price will affect the carbon price in our carbon market to some extent.The change of Chinese new energy market price can affect the supply and demand balance of Chinese carbon market,thus affecting the price of carbon market.International crude oil futures market is a typical oil market,which endows oil with financial attributes.As can be seen from the above,there may be fluctuation correlation between China’s carbon market,new energy market and international crude oil futures market.This thesis explores the transmission intensity and path of price volatility among these three markets,namely,risk spillover effect,through the construction of a series of mathematical models.On the one hand,this thesis analyzes the intensity of risk spillover effect between three markets based on the GARCH-Copula-CoVaR model.First,the GARCH model is constructed to describe the marginal distribution of the three market return series.Then,the Copula function with the best fitting effect is selected to combine the marginal distribution of the two markets,and the correlation between the markets is obtained according to the optimal Copula function.Finally,based on the selected optimal Copula function,conditional value at risk(CoVaR)is derived to measure the intensity of risk spillover effect between the two markets.The results show that there is a negative risk spillover between China’s carbon market and new energy market,and it is a one-way risk spillover from new energy market to China’s carbon market,and the spillover intensity is large.There is negative risk spillover between China’s carbon market and international crude oil futures market,and it is one-way risk spillover from international crude oil futures market to China’s carbon market,and the spillover intensity is small.There is a positive risk spillover between the international crude oil futures market and the new energy market,and there is a two-way risk spillover between the two markets,and the spillover intensity is small.Most of the existing literature studies only reveal the strength of the risk spillover effect between two or more markets,and there are few studies on the spillover path between markets.The empirical study in the first part of this paper only gives the risk spillover relationship and spillover intensity between the two markets on the basis of the three market indicators,but fails to find the specific transmission path of risk between the three markets.Therefore,on the other hand,this thesis selects seven sub-markets included in the three markets,and establishes the nonlinear Granger cause-and-effect correlation network model to determine the conduction path of risk spillovers among the three markets.Firstly,data preprocessing and descriptive statistics were carried out for seven index rate of return series,and the marginal distribution of seven rate of return series was described by GARCH model,and the volatility series of each market index was described.Then,a nonlinear Granger causality test model is constructed based on the stationary volatility data obtained by GARCH model,and the adjacency matrix of nonlinear causality between the two markets is obtained.Finally,the correlation network model among the seven sub-markets is constructed through the adjacency matrix,and the risk spillover in the network system of China’s carbon market,new energy market and international crude oil futures market is obtained through the path of "international crude oil futures market → new energy market → carbon market".This thesis is a preliminary attempt to model multi-market risk spillover effect,considering risk spillover intensity and path at the same time,but there are still some shortcomings,such as failure to conduct dynamic modeling,and failure to incorporate time-varying Copula function and dynamic spillover network analysis.